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Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/62246
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| Title: | | Risk premia and financial modelling without measure transformation  |
| Authors: | | Platen, Eckhard |
| Issue Date: | | 2000 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,92 |
| Abstract: | | This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset prices appear as martingales. A specific form for the risk premia is obtained as a natural consequence of the approach. Contingent claim prices are computed under the real world measure both in the case of complete and incomplete markets avoiding the use of an equivalent risk neutral measure transformation. |
| Subjects: | | financial market modelling deflator risk premium contingent claim pricing incomplete market |
| JEL: | | G10 G13 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10048184 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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